You can try [one of these shiurim][1].

Firstly, ask your rabbi.  It may very well be the kind of place a good Jewish boy (or girl?) just shouldn't be hanging out.  Leaving aside the danger of losing a lot of money very quickly.  There may even be Chilul Hashem concerns.  The Aruch HaShulchan refers to gambling as a blight that has destroyed many lives.  I don't think anyone would say he's exaggerating.

But as far as the gambling aspect per se, the Gemara (Sanhedrin 24b) offers two possible reasons why gamblers aren't kosher witnesses.  One reason applies only to people who gamble for a living, which isn't your question here.  The other reason is that it's sort of "theft", as the people who agree to place their bets don't really think they'll lose.  (The Rambam has a slightly different understanding, but that's for another time.)  

Thus the Gemara's case seems to be where people are gambling their money against each other.  When going to a casino, you're betting against "the house."  It would be hard to argue that the casino doesn't really understand the risks and that you're sortof-stealing its money.

(Now if you win, aren't you receiving money "stolen" from a previous player?  I suspect you're sufficiently removed from that.  ייאוש ושינוי רשות, ואין כאן דינא דמלכותא להיפך)  

Those are the issues as far as I can see.  But please ask your rabbi.

UPDATE: R' Ovadya Yosef shlit'a is of the opinion that absolutely all gambling whatsoever is prohibited -- but not everyone agrees.

  [1]: http://www.yutorah.org/search/gambling